Correlation Between Vanguard Long and SPDR Barclays
Can any of the company-specific risk be diversified away by investing in both Vanguard Long and SPDR Barclays at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Vanguard Long and SPDR Barclays into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Long Term Treasury and SPDR Barclays Long, you can compare the effects of market volatilities on Vanguard Long and SPDR Barclays and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Vanguard Long with a short position of SPDR Barclays. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Long and SPDR Barclays.
Diversification Opportunities for Vanguard Long and SPDR Barclays
0.9 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and SPDR is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Long Term Treasury and SPDR Barclays Long in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Barclays Long and Vanguard Long is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Vanguard Long Term Treasury are associated (or correlated) with SPDR Barclays. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Barclays Long has no effect on the direction of Vanguard Long i.e., Vanguard Long and SPDR Barclays go up and down completely randomly.
Pair Corralation between Vanguard Long and SPDR Barclays
Given the investment horizon of 90 days Vanguard Long is expected to generate 1.32 times less return on investment than SPDR Barclays. In addition to that, Vanguard Long is 1.14 times more volatile than SPDR Barclays Long. It trades about 0.09 of its total potential returns per unit of risk. SPDR Barclays Long is currently generating about 0.14 per unit of volatility. If you would invest 2,291 in SPDR Barclays Long on September 1, 2024 and sell it today you would earn a total of 59.00 from holding SPDR Barclays Long or generate 2.58% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Long Term Treasury vs. SPDR Barclays Long
Performance |
| Timeline |
| Vanguard Long Term |
| SPDR Barclays Long |
Vanguard Long and SPDR Barclays Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Long and SPDR Barclays
The main advantage of trading using opposite Vanguard Long and SPDR Barclays positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Long position performs unexpectedly, SPDR Barclays can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in SPDR Barclays will offset losses from the drop in SPDR Barclays' long position.| Vanguard Long vs. Vanguard Intermediate Term Treasury | Vanguard Long vs. Vanguard Short Term Treasury | Vanguard Long vs. Vanguard Long Term Corporate | Vanguard Long vs. Vanguard Extended Duration |
| SPDR Barclays vs. iShares 10 Year | SPDR Barclays vs. SPDR Barclays Intermediate | SPDR Barclays vs. SPDR Barclays Short | SPDR Barclays vs. FlexShares Credit Scored Long |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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